Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | 0.0952 |
| Annualized Std Dev | 0.1738 |
| Annualized Sharpe (Rf=0%) | 0.5479 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 3605.0000 |
| NAs | 1.0000 |
| Minimum | -0.1246 |
| Quartile 1 | -0.0044 |
| Median | 0.0007 |
| Arithmetic Mean | 0.0004 |
| Geometric Mean | 0.0004 |
| Quartile 3 | 0.0058 |
| Maximum | 0.1258 |
| SE Mean | 0.0002 |
| LCL Mean (0.95) | 0.0001 |
| UCL Mean (0.95) | 0.0008 |
| Variance | 0.0001 |
| Stdev | 0.0109 |
| Skewness | -0.7521 |
| Kurtosis | 19.7777 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0081 |
| Gain Deviation | 0.0074 |
| Loss Deviation | 0.0091 |
| Downside Deviation (MAR=210%) | 0.0127 |
| Downside Deviation (Rf=0%) | 0.0080 |
| Downside Deviation (0%) | 0.0080 |
| Maximum Drawdown | 0.4203 |
| Historical VaR (95%) | -0.0156 |
| Historical ES (95%) | -0.0261 |
| Modified VaR (95%) | -0.0154 |
| Modified ES (95%) | -0.0198 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2007-06-04 | 2009-03-09 | 2010-12-15 | -0.4203 | 893 | 445 | 448 |
| 2020-01-21 | 2020-03-23 | 2020-08-07 | -0.3486 | 140 | 44 | 96 |
| 2018-09-13 | 2018-12-24 | 2019-07-12 | -0.1530 | 208 | 71 | 137 |
| 2011-07-08 | 2011-10-03 | 2012-03-13 | -0.1399 | 171 | 60 | 111 |
| 2016-08-02 | 2016-12-01 | 2017-03-17 | -0.1200 | 158 | 86 | 72 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2006 | NA | NA | NA | NA | NA | NA | NA | NA | NA | -0.9 | -0.5 | -0.3 | -1.7 |
| 2007 | 0.7 | -0.3 | 0.1 | 0.3 | 1.1 | -0.3 | -0.9 | 0.4 | 0.6 | -2.4 | 0.3 | -1.1 | -1.6 |
| 2008 | 2 | -1.9 | 2 | 0.5 | 0 | -0.1 | 0.2 | -1.2 | 1.1 | -0.7 | -4.5 | 2 | -0.8 |
| 2009 | -2.9 | 0.8 | 1.6 | 1 | 3.3 | 1.9 | -0.2 | -1.1 | -1.1 | -1.3 | 1.8 | -1 | 2.7 |
| 2010 | 0.5 | 0.9 | 0.7 | -0.6 | -0.8 | -0.2 | 0.5 | 1.7 | 0.4 | -0.4 | 1.4 | -0.2 | 4 |
| 2011 | 1.1 | -1.1 | 0.6 | 0.9 | -0.7 | 1.1 | -0.5 | -0.7 | -1 | -3.4 | 0.1 | -0.5 | -4.2 |
| 2012 | 1.1 | -0.2 | 0.2 | -0.2 | -1.9 | 2.5 | -0.7 | 0.1 | 0.1 | 1 | 0.6 | 0.6 | 3.4 |
| 2013 | 1.3 | 0 | -0.4 | -0.7 | -1 | 0.7 | 0.9 | -0.3 | 0 | 0 | 0 | 0 | 0.5 |
| 2014 | -0.3 | 0.3 | 0.9 | 0.2 | 0.6 | 0.8 | 0.4 | 0.1 | -1.5 | 0.9 | -0.8 | -0.8 | 0.6 |
| 2015 | -1.8 | 0.3 | 0 | 1 | -0.1 | 1.1 | 0.5 | -2.7 | 0.3 | 0 | 0.9 | -1 | -1.5 |
| 2016 | 0.5 | 1 | 0.8 | 0.3 | 0.8 | -0.5 | 0.1 | -0.4 | 0.7 | -0.4 | -1.9 | -0.7 | 0.3 |
| 2017 | -0.1 | 1 | 0.1 | -0.4 | 1.4 | 0.7 | -0.3 | 0.3 | 0.7 | -0.1 | -0.6 | -0.4 | 2.2 |
| 2018 | 0.3 | -1.1 | 1.2 | -1 | 0.5 | 0.1 | -0.5 | 0.3 | -0.6 | 1.1 | 0 | 0.3 | 0.5 |
| 2019 | 0.1 | 0.8 | -0.1 | -1 | -1.1 | 0.4 | -0.7 | -0.4 | -0.4 | 0.1 | -0.8 | 0.3 | -2.8 |
| 2020 | -1.6 | -3.8 | -3 | -1 | 0.8 | 1 | 0 | 1.1 | 1.5 | -2.4 | 0.9 | 0.2 | -6.2 |
| 2021 | 0.5 | 2 | -0.3 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 2.1 |
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Price Chart
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Rolling Performance Chart
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Snail Trail Chart
